Uniform asymptotics for compound Poisson processes with regularly varying jumps and vanishing drift

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

The Disorder Problem for Compound Poisson Processes with Exponential Jumps

The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ’disorder’ when the observed process changes its probability characteristics. We give a partial answer to this question for some special cases of Lévy processes and present a complete solution of the Bayesian and variational problem for a compound Poisson process with exponential jump...

متن کامل

Numerical solution and simulation of random differential equations with Wiener and compound Poisson Processes

Ordinary differential equations(ODEs) with stochastic processes in their vector field, have lots of applications in science and engineering. The main purpose of this article is to investigate the numerical methods for ODEs with Wiener and Compound Poisson processes in more than one dimension. Ordinary differential equations with Ito diffusion which is a solution of an Ito stochastic differentia...

متن کامل

The perturbed compound Poisson risk model with two-sided jumps

In this paper, we consider a perturbed compound Poisson risk model with two-sided jumps. The downward jumps represent the claims following an arbitrary distribution, while the upward jumps are also allowed to represent the random gains. Assuming that the density function of the upward jumps has a rational Laplace transform, the Laplace transforms and defective renewal equations for the discount...

متن کامل

Asymptotics of Symmetric Compound Poisson Population Models

Compound Poisson population models are particular conditional branching process models. A formula for the transition probabilities of the backward process for general compound Poisson models is verified. Symmetric compound Poisson models are defined in terms of a parameter θ ∈ (0,∞) and a power series φ with positive radius r of convergence. It is shown that the asymptotic behavior of symmetric...

متن کامل

Poisson processes , ordinary and compound

The Poisson process is a stochastic counting process that arises naturally in a large variety of daily-life situations. We present a few definitions of the Poisson process and discuss several properties as well as relations to some well-known probability distributions. We further briefly discuss the compound Poisson process.

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Stochastic Processes and their Applications

سال: 2019

ISSN: 0304-4149

DOI: 10.1016/j.spa.2018.03.012